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    Stylized Facts of the Statistical Properties of Risk and Return of the Dhaka Stock Exchange: 1991-2015

    Iqbal, Kazi; Shahana, Siban | December 2019
    Abstract
    While the role of financial market, particularly the stock market, in promoting economic growth through efficient allocation of capital is well recognised, the investors of the developing economies have little knowledge about the return and risk of the markets they operate in. To this end, we compile a security level historical data for the period 1991-2015 for Dhaka Stock Exchange and identify some important stylized facts about the return and risk. Descriptive statistics of disaggregated stock data suggest that while the daily rate of returns swing up and down over decades, the volatility tends to increase over time. Manufacturing stocks outperform other sectors both in return and volatility. Similarly, older stocks earn better return with lesser risks than the newer stocks. Several standard tests confirm that the distribution of daily returns is not normal; it does not follow random walk and the market is not efficient. Overall, there is a risk return trade-off and this trade-off varies significantly with sectors, age and quality of the stocks.
    Citation
    Iqbal, Kazi; Shahana, Siban. 2019. Stylized Facts of the Statistical Properties of Risk and Return of the Dhaka Stock Exchange: 1991-2015. © Bangladesh Institute of Development Studies. http://hdl.handle.net/11540/14693.
    Keywords
    Macroeconomic
    Macroeconomic Analysis
    Macroeconomic Framework
    Macroeconomic Models
    Macroeconomic Performance
    Macroeconomic Planning
    Macroeconomic Policies
    Macroeconomic Reform
    Macroeconomic Stabilization
    Economic Development
    Economic Infrastructure
    Economic Policies
    Regional Economic Development
    Microfinance Programs
    Public Finance
    Local Financing
    Financial Stability
    Financial Sector Regulation
    Public Financial Management
    Financial System
    Financial Statistics
    Foreign and Domestic Financing
    Financial Inclusion
    Foreign direct investment
    Crisis
    Resilience
    Bond Financing
    Green bonds
    Green financing
    Social bonds
    Blue bonds
    Enterprises
    Financial aid
    Economies in transition
    Local Finance
    Local Government
    Insurance Companies
    Banks
    Social Equity
    Pension Funds
    Mutual Funds
    Financial Aspects
    Fiscal Policy
    Business cycle
    Financial cycle
    Financial literacy
    Financial safety net
    Exports
    Financial crises
    Digital
    Digital currency
    Digital economy
    E-commerce
    Fintech
    Social responsibility of business
    Accounting
    Personal budgets
    Cost and standard of living
    Bank accounts
    Credit control
    Regulatory reform
    Banks and banking
    Digital Financial Service
    Pension plans
    Individual retirement accounts
    Employee pension trusts
    Investment management
    Investments
    Multiemployer pension plans
    Keogh plans
    Individual retirement accounts
    Pension plans
    Employee pension trusts
    Pension trusts
    Investment companies
    International banks and banking
    Stock exchanges
    Thematic bonds
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    Citable URI
    http://hdl.handle.net/11540/14693
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    3_StylizedFactsDSE_RefEdited.pdf (618.8Kb)
    Author
    Iqbal, Kazi
    Shahana, Siban
    Theme
    Economics
    Finance
     
    Copyright 2016-2021 Asian Development Bank Institute, except as explicitly marked otherwise
    Copyright 2016-2021 Asian Development Bank Institute, except as explicitly marked otherwise